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Title:

Conditional risk measures in a bipartite market structure

Document type:
Zeitschriftenaufsatz
Author(s):
Kley, O., Klüppelberg, C., and Reinert, G.
Abstract:
In this paper, we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insurance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation, we obtain asymptotic results for conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on...     »
Keywords:
Bipartite network, multivariate regular variation, Value-at-Risk, Conditional TailExpectation, Expected Shortfall, systemic risk measures, conditional risk measures, Poisson approximation.
Dewey Decimal Classification:
510 Mathematik
Journal title:
Scandinavian Actuarial Journal
Year:
2018
Journal volume:
2018
Year / month:
2018-05
Quarter:
2. Quartal
Month:
May
Journal issue:
4
Pages contribution:
328-355
Fulltext / DOI:
doi:10.1080/03461238.2017.1350203
Publisher:
Taylor & Francis
Status:
Verlagsversion / published
Submitted:
15.10.2016
Accepted:
29.06.2017
Date of publication:
31.05.2018
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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